Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.4528
Annualized Std Dev 0.5153
Annualized Sharpe (Rf=0%) -0.8789

Row

Daily Return Statistics

Close
Observations 2953.0000
NAs 1.0000
Minimum -0.2779
Quartile 1 -0.0168
Median -0.0024
Arithmetic Mean -0.0019
Geometric Mean -0.0024
Quartile 3 0.0102
Maximum 0.3266
SE Mean 0.0006
LCL Mean (0.95) -0.0030
UCL Mean (0.95) -0.0007
Variance 0.0011
Stdev 0.0325
Skewness 0.5426
Kurtosis 13.3205

Downside Risk

Close
Semi Deviation 0.0219
Gain Deviation 0.0273
Loss Deviation 0.0225
Downside Deviation (MAR=210%) 0.0275
Downside Deviation (Rf=0%) 0.0228
Downside Deviation (0%) 0.0228
Maximum Drawdown 0.9993
Historical VaR (95%) -0.0454
Historical ES (95%) -0.0719
Modified VaR (95%) -0.0413
Modified ES (95%) -0.0413
From Trough To Depth Length To Trough Recovery
2009-07-13 2021-03-17 NA -0.9993 2944 2941 NA
2009-06-29 2009-06-29 2009-07-02 -0.0298 4 1 3
2009-07-06 2009-07-06 2009-07-07 -0.0023 2 1 1
2009-07-08 2009-07-09 2009-07-10 -0.0023 3 2 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA NA NA NA NA -1 -0.2 6.9 7.2 8.3 -3.4 2.8 21.8
2010 -4.5 -3 -2.2 5 5.3 0.8 -0.2 -8.7 -1.3 0 -6.8 -0.2 -15.5
2011 -4.8 4.8 -1.3 -0.9 6.7 -4.5 1.5 3.2 7.3 8 -0.1 1.1 22
2012 -2.7 -2.3 -1.2 -2.1 7.5 -7.7 0.2 -1.3 -0.5 -3.6 0.3 -5.6 -18.1
2013 -3.1 -1.1 1.1 2.7 4.2 -2.7 -3.5 1.1 -2.3 -1 0.3 -1.4 -5.9
2014 1.9 -0.7 -1.9 0.1 -0.5 -2 0.9 -0.8 4 -3.4 2 3.1 2.6
2015 3.9 1 1.1 -3.2 -0.6 -2.4 0.4 9.2 -0.8 1.4 -2.9 3 9.9
2016 -0.1 -7.4 -1.8 1.5 -0.7 -0.5 0.3 0.1 -2.3 2 1.1 0.9 -6.9
2017 -0.3 -4 0.7 -0.6 -2.3 -0.5 -0.6 -0.5 -1.1 -0.4 0.6 1 -7.9
2018 0.3 4 -4.2 -0.4 -3.2 -0.2 0.6 0 -1.1 -3 -1.9 -2.7 -11.4
2019 -0.2 -1.9 -3.4 2.2 3.9 -2.5 2.6 0.3 3.7 -2.7 1.2 -0.8 2
2020 5.4 1.6 13.2 7.9 -1.5 -2 -2.4 -2.8 -1.7 3 -3.2 -1.3 15.9
2021 -4.8 -7.3 0.5 NA NA NA NA NA NA NA NA NA -11.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2009-06-25 29316 SPY    92.1  0.0218  -0.0015   0.0269   0.108    -0.301   -0.26    -0.195 GLD    92.3  0.0094   0.0076 
2 2009-06-26 29532 SPY    91.8 -0.0026  -0.0022   0.0101   0.125    -0.284   -0.265   -0.193 GLD    92.3 -0.0002   0.0042 
3 2009-06-29 28652 SPY    92.7  0.0094   0.0383   0.0018   0.176    -0.273   -0.252   -0.183 GLD    92.0 -0.0027   0.0166 
4 2009-06-30 29352 SPY    92.0 -0.0081   0.0291  -0.0298   0.156    -0.282   -0.263   -0.193 GLD    91.2 -0.00930  0.00290
5 2009-07-01 29044 SPY    92.3  0.0041   0.0245  -0.0266   0.139    -0.281   -0.274   -0.194 GLD    92.4  0.0133   0.0103 
6 2009-07-02 31360 SPY    89.8 -0.0273  -0.0247  -0.041    0.0765   -0.288   -0.294   -0.205 GLD    91.2 -0.0123  -0.0115 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart